Create database using code first Entity Framework in SQL Server

I am using code first EF and new to this framework. I am trying to create a database using Database.SetInitializer but it looks like I need SQL Server Express. But I have to create database in SQL Server 2014. How to do this?

Can anybody explain this with the example from EF-dbcontext book which has following classes.

 public class BreakAwayContext : DbContext
 {
    public DbSet<Destination> Destinations { get; set; }
    public DbSet<Lodging> Lodgings { get; set; }
    public DbSet<Trip> Trips { get; set; }
    public DbSet<Person> People { get; set; }
    public DbSet<Reservation> Reservations { get; set; }
    public DbSet<Payment> Payments { get; set; }
    public DbSet<Activity> Activities { get; set; }
}
class Program
{


static void Main(string[] args)
 {
  Database.SetInitializer(new InitializeBagaDatabaseWithSeedData());
  try
  {
      using (var context = new BreakAwayContext())
      {
          foreach (var destination in context.Destinations)
              Console.WriteLine(destination.Name);
      }
  }
    catch(Exception ex){

      Console.WriteLine(ex.ToString());
    }
  Console.Read();  
}
}

 public class InitializeBagaDatabaseWithSeedData : DropCreateDatabaseAlways<BreakAwayContext>
  {
    protected override void Seed(BreakAwayContext context)
    {
      context.Destinations.Add(new Destination
      {
        Name = "Hawaii",
        Country = "USA",
        Description = "Sunshine, beaches and fun."
      });

      context.Destinations.Add(new Destination
      {
        Name = "Wine Glass Bay",
        Country = "Australia",
        Description = "Picturesque sandy beaches."
      });
}